Bayesian estimation of state-space models using the Metropolis-Hastings algorithm within Gibbs sampling.

DOI10.1016/S0167-9473(01)00009-3zbMath1077.62511OpenAlexW2161194249MaRDI QIDQ5941546

Hisashi Tanizaki, John F. Geweke

Publication date: 20 August 2001

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0167-9473(01)00009-3

zbMATH Keywords

Markov chain Monte CarloGibbs samplerBayesian estimationMetropolis--Hastings algorithmNonlinear and/or non-Gaussian smoothingProposal densityState-space model

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Bayesian inference (62F15)

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